The Lithuanian officer was killed in a northern region where minority ethnic Serbs are growing increasingly nervous over a deal brokered by the EU in April to integrate them with the rest of majority-Albanian Kosovo.
The EU's law and order mission in Kosovo, known as Eulex, said the officer's vehicle "came under fire from unknown persons" early morning as he returned from a shift at a border crossing with Serbia.
Eulex chief Bernd Borchardt told a news conference the officer had been ambushed.
Doctors in the ethnically divided town of Mitrovica, where the officer was taken for treatment, said he was dead on arrival, having been shot in the chest and lower leg. A Czech officer was also in the car but was unharmed.
Kosovo declared independence from Serbia in 2008, almost a decade after Nato waged a 78-day air war to drive out Serbian forces and halt the massacre and expulsion of ethnic Albanians during a two-year Serbian counter-insurgency campaign.
Serbia rejected the secession and retained de facto control over a northern strip of Kosovo where some 50,000 Serbs live. 90% of Kosovo's 1.7 million people are Albanians.
Seeking the economic boost of membership talks with the EU, Serbia - which does not recognise Kosovo as independent - agreed in April to cede its hold over the north and for the Serbs living there to be integrated with the rest of Kosovo.
As part of the accord, the north is due to take part in Kosovo's next local elections on 3 November, but hardline Serb leaders there say they will boycott the vote.
The 28-member EU, of which 23 members recognise Kosovo as independent, plans to open accession talks with Serbia in January, providing there is progress on the ground in implementation of the April deal.
EU foreign policy chief Catherine Ashton said she condemned the killing "in the strongest possible terms" and urged all sides to press ahead with the accord.